XLE Options History — September 2013

In September 2013, XLE traded between $41.13 and $42.67. ATM implied volatility averaged 15.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.7% (HV 20d: 11.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.86.

Notable Days

  • 2013-09-09: Highest Volume — 173,286 contracts
  • 2013-09-30: Largest IV spike — 21.1% change
  • 2013-09-30: Highest IV Rank — 18.2%
  • 2013-09-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.87$41.13$42.67$41.13$41.49
Max Pain$41.23$40.00$42.00$40.00$42.00
ATM IV15.7%13.9%19.7%18.8%19.7%
Expected Move4.4%4.0%5.4%5.4%4.9%
HV 20d11.9%9.2%13.1%12.8%9.6%
HV 60d12.9%11.5%14.9%14.9%11.5%
IV Rank8.5%4.1%18.2%16.1%18.2%
IV Percentile29.7%7.5%84.9%77.8%84.9%
Term Structure1.3%-0.1%2.9%-0.1%-0.1%
VWIV16.4%13.5%21.0%19.3%17.3%
Skew 25d3.5%2.4%4.4%4.3%3.5%
Skew 10d7.2%4.0%9.1%8.9%9.1%
Call IV 25d14.3%12.9%17.0%17.0%15.8%
Put IV 25d17.8%15.6%21.3%21.3%19.3%
Bid-Ask Spread %26.4510.5183.4112.6623.40
Gamma HHI0.090.060.220.060.22
Net GEX6.1M-71.7M113.2M-3.6M-71.7M
Net DEX-93.9M-804.6M330.1M256.6M330.1M
Net VEX-7.3M-8.0M-6.7M-8.0M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.268.751.011.44
Total Volume74,594.733,864173,28655,98065,020
Total OI1,770,224.91,451,4022,005,5941,720,8181,560,538

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$41.13$40.0018.8%5.4%12.8%16.1%19.3%4.3%-0.1%-3.6M256.6M-8.0M1.0112.6627,83228,148669,1881,051,630
2013-09-04$41.30$40.0017.0%4.9%12.7%11.7%17.5%4.4%0.6%1.2M154.2M-8.0M1.2515.0322,71428,444675,5241,066,306
2013-09-05$41.45$40.0016.7%4.8%12.8%11.0%16.3%3.9%0.4%2.5M68.6M-7.9M0.6612.6221,44814,154682,4441,085,526
2013-09-06$41.45$40.0016.8%4.8%12.7%11.1%18.5%4.3%0.3%12.7M15.1M-7.7M1.5083.4130,03444,940697,3701,093,274
2013-09-09$41.80$40.0016.5%4.6%12.9%10.4%21.0%4.1%0.5%23.7M-155.0M-7.6M8.7515.7417,770155,516703,2441,105,148
2013-09-10$41.87$41.0016.2%4.6%12.8%9.7%17.6%3.9%1.9%26.7M-204.2M-7.4M2.1913.8322,73849,732705,6541,119,732
2013-09-11$42.24$41.0014.7%4.4%13.1%6.1%16.1%3.6%2.2%15.4M-312.1M-7.6M1.6118.3033,82654,590698,4241,261,394
2013-09-12$42.05$41.0015.1%4.3%13.1%7.2%16.7%3.5%2.3%6.7M-297.9M-7.3M2.4410.5127,51267,102709,1041,266,382
2013-09-13$42.01$41.5015.0%4.3%12.9%7.0%15.4%3.3%2.1%-24.9M-400.5M-7.3M0.9760.8819,69419,114718,6601,266,980
2013-09-16$41.97$41.5015.5%4.4%12.7%8.0%16.8%3.6%1.9%17.9M-367.0M-7.2M0.5912.3447,58227,920704,4821,237,880
2013-09-17$42.16$41.5015.2%4.4%11.3%7.3%17.2%3.5%2.2%52.2M-526.4M-7.0M1.9711.0011,70223,096732,4861,245,176
2013-09-18$42.67$41.5014.9%4.3%11.8%6.7%15.6%3.2%1.8%69.0M-804.6M-6.8M3.3212.6025,61484,974729,4821,251,514
2013-09-19$42.58$41.5013.9%4.0%11.4%4.1%13.6%2.4%2.5%113.2M-781.3M-6.7M0.2613.63131,71834,140732,0961,273,498
2013-09-20$42.01$42.0014.0%4.0%11.8%4.5%13.5%2.9%2.9%-36.1M222.8M-6.9M1.1476.7150,95658,274546,9001,277,460
2013-09-23$41.82$42.0014.3%4.1%11.8%5.2%15.6%3.0%1.1%-24.0M230.5M-6.9M2.1314.5123,06249,198504,186947,216
2013-09-24$41.90$42.0014.3%4.1%11.7%5.3%14.5%3.1%1.0%-31.6M196.4M-7.0M0.6814.2920,12213,742512,536976,788
2013-09-25$41.87$42.0014.2%4.1%11.4%5.1%14.6%3.0%0.9%-12.3M156.9M-6.9M2.3417.4813,12030,636525,036972,878
2013-09-26$41.94$42.0014.2%4.1%9.9%4.9%16.5%2.9%1.0%-9.4M133.0M-7.0M2.0812.4219,41840,348532,236991,010
2013-09-27$41.77$42.0016.3%4.3%9.2%10.0%15.0%3.4%0.6%-5.7M207.0M-7.1M0.8577.6219,45216,492549,4221,025,694
2013-09-30$41.49$42.0019.7%4.9%9.6%18.2%17.3%3.5%-0.1%-71.7M330.1M-7.0M1.4423.4026,65638,364548,1361,012,402